Because it was the last piece of music played by musicians and sung by people aboard the RMS Titanic, that sunk on April 15, 1912.

Titanic was a ship that my Irish granny was supposed to come overseas on, from Ireland. But, she missed the Titanic and had to come later, on a different ship.

The hymn was a Christian hymn by Sarah Flower Adams and is entitled, Nearer, My God, to Thee. Here is a link for you to listen to and/or sing along: https://www.youtube.com/watch?v=lJd4923hUB0. The lyrics are below.

Nearer, My God, to Thee

Nearer, My God to Thee, Nearer to Thee, Even though it be a cross, That raiseth me...